Aggregate volatility risk and the cross-section of stock returns: Australian evidence

Mai, Van Anh (Vivian), Ang, Tze Chuan (Chewie) and Fang, Victor 2016, Aggregate volatility risk and the cross-section of stock returns: Australian evidence, Pacific-Basin finance journal, vol. 36, pp. 134-149, doi: 10.1016/j.pacfin.2015.12.006.

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Title Aggregate volatility risk and the cross-section of stock returns: Australian evidence
Author(s) Mai, Van Anh (Vivian)
Ang, Tze Chuan (Chewie)ORCID iD for Ang, Tze Chuan (Chewie) orcid.org/0000-0003-3597-5863
Fang, VictorORCID iD for Fang, Victor orcid.org/0000-0001-8914-3363
Journal name Pacific-Basin finance journal
Volume number 36
Start page 134
End page 149
Total pages 16
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-02
ISSN 0927-538X
Keyword(s) Aggregate volatility risk
Cross-sectional return
Asset pricing test
Implied volatility (VIX)
Anomaly
Summary This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility.
Language eng
DOI 10.1016/j.pacfin.2015.12.006
Field of Research 150201 Finance
150202 Financial Econometrics
150205 Investment and Risk Management
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30081733

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